Add to ORKGAbstract: The paper analyzes the scaling laws of the FX markets by applying a recently introduced distribution-based class of estimators of the self-similarity parameter. Instead of evaluating specific moments, the scaling of the whole distribution is studied by pairwise comparisons of time horizons. The analysis shows that. Key—Words: Scaling, Self-Similarity, FX markets, fd7
In this paper, we investigate the scaling properties of foreign exchange volatility. Our methodology...
This paper reports statistical analyses performed on simulated data from a stochastic multiagent mod...
In this chapter, we provide a survey of research on scaling phenomena in -nancial data pursued by ph...
The scaling behaviour of both log-price and volume is analyzed for three stock indexes. The traditio...
Relying on self-similarities and scale invariances, scientists have started to think about financial...
We study the scaling behavior in currency exchange rates. Our results suggest that they satisfy scal...
Abstract: Typical data sets employed by economists and financial analysts do not exceed a few hundre...
This paper reviews some of the phenomenological models which have been introduced to incorporate the...
We empirically analyze the scaling properties of daily Foreign Exchange rates, Stock Market indices ...
Abstract – A simple quantitative measure of the self-similarity in time-series in general and in the...
are analyzed for their scaling behavior as a function of the time lag. Motivated by the finding that...
We have discovered 12 independent new empirical scaling laws in foreign exchange data series that ho...
The scaling properties encompass in a simple analysis many of the volatility characteristics of fina...
A new nonparametric and distribution-based method is developed to detect self-similarity among the r...
Speculative pricing process are nonstationary and do not conform to geometric Brownian motion since ...
In this paper, we investigate the scaling properties of foreign exchange volatility. Our methodology...
This paper reports statistical analyses performed on simulated data from a stochastic multiagent mod...
In this chapter, we provide a survey of research on scaling phenomena in -nancial data pursued by ph...
The scaling behaviour of both log-price and volume is analyzed for three stock indexes. The traditio...
Relying on self-similarities and scale invariances, scientists have started to think about financial...
We study the scaling behavior in currency exchange rates. Our results suggest that they satisfy scal...
Abstract: Typical data sets employed by economists and financial analysts do not exceed a few hundre...
This paper reviews some of the phenomenological models which have been introduced to incorporate the...
We empirically analyze the scaling properties of daily Foreign Exchange rates, Stock Market indices ...
Abstract – A simple quantitative measure of the self-similarity in time-series in general and in the...
are analyzed for their scaling behavior as a function of the time lag. Motivated by the finding that...
We have discovered 12 independent new empirical scaling laws in foreign exchange data series that ho...
The scaling properties encompass in a simple analysis many of the volatility characteristics of fina...
A new nonparametric and distribution-based method is developed to detect self-similarity among the r...
Speculative pricing process are nonstationary and do not conform to geometric Brownian motion since ...
In this paper, we investigate the scaling properties of foreign exchange volatility. Our methodology...
This paper reports statistical analyses performed on simulated data from a stochastic multiagent mod...
In this chapter, we provide a survey of research on scaling phenomena in -nancial data pursued by ph...